Are stock returns on the US used as an exogenous predictor to the Asian emerging equity markets

Jihn-Yih Lin

Applied Economics Letters, 2007, vol. 15, issue 3, 235-237

Abstract: By using a block recursive vector autoregression model and two new out-of-sample tests, this study has found that the US stock returns have predictive ability for the four Asian emerging equity markets. The estimates from weekly data suggest that returns on S&P500 positively predict stock returns of Asian emerging markets up to three weeks.

Date: 2007
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:15:y:2007:i:3:p:235-237

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504850600706289

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().